J.P. Morgan Dorsey Wright Focus 5 Balanced Index 8.5%

OVERVIEW

The J.P. Morgan Dorsey Wright Focus 5 Balanced Index 8.5% (the "Index") is a
rules-based index designed to track the performance of a hypothetical
investment in a notional dynamic portfolio that consists of the First Trust
Dorsey Wright Focus 5 ETF, the J.P. Morgan Dynamic Treasury Futures Index (USD)
and a Cash Constituent while seeking to maintain a Target Volatility of 8.5% .
The Index is subject to a daily deduction of 0.50% per annum index fee and a
daily deduction of a synthetic borrowing cost calculated based on a composite
LIBOR rate.

Index Features

[] The Index has three constituents:
1. The First Trust Dorsey Wright Focus 5 ETF (the "Equity Constituent") --
Bloomberg Ticker FV UP [equity].
2. The J.P. Morgan Dynamic Treasury Futures Index (the "Bond Constituent") --
Bloomberg Ticker JFBUDTIU [index].
3. The Cash Constituent bearing interest at a blended rate determined based on
the 3-month and 2-month LIBOR rates.
[] The Index is subject to a daily deduction of 0.50% per annum index fee and a
daily deduction of a synthetic borrowing cost calculated based on the composite
LIBOR rate.
[] On a daily basis, the Index first seeks to identify a portfolio consisting
solely of the Equity Constituent and Bond Constituent (together, the "Target
Constituents") with a historic volatility of 8.5%, subject to minimum exposure
of 0% and a maximum exposure of 100% for each Target Constituent.
[] If no such portfolio exists, the Index will then select the combination of
the Target Constituents with the 20 day realized volatility closest to the
Target Volatility and highest Equity allocation, deleveraging (if appropriate)
into Cash to achieve a realized volatility less than or equal to the Target
Volatility
[] Published on Bloomberg under the ticker JPUSBLFV [index].

Hypothetical historical performance comparison: November 23, 2009 through
August 31, 2015
[GRAPHIC OMITTED]

See "Notes" below. For purposes of these examples, each index was set equal to
100 at the beginning of the relevant measurement period and returns are
calculated arithmetically (not compounded).

Hypothetical historical returns and volatilities November 23, 2009 through
August 31, 2015
[GRAPHIC OMITTED]

See "Notes" below.

Hypothetical historical allocations of the Index (November 23, 2009 -- August
31, 2015)

Hypothetical Annual Returns of the Index (2011 - 2015)
2011            Jan   Feb   Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec   Full Year
JPUSBLFV Index 0.80% 1.49% 0.62%  2.74%  -0.80% -1.84% -1.35% -3.48% -2.57% 2.79%  -0.49% 1.17%   -1.15%
-------------- ----- ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2012            Jan   Feb   Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec   Full Year
JPUSBLFV Index 1.81% 0.83% 1.51%  0.41%  -3.54% 1.39%  -0.26% 1.82%  1.24%  -1.58% 1.87%  0.88%   6.39%
-------------- ----- ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2013            Jan   Feb   Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec   Full Year
JPUSBLFV Index 5.04% 1.04% 3.57%  1.66%  0.34%  -1.48% 3.77%  -1.94% 3.61%  0.79%  2.20%  0.88%  21.02%
-------------- ----- ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2014            Jan   Feb   Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec     YTD
JPUSBLFV Index 0.76% 3.31% -2.65% -1.51% 2.45%  1.96%  -1.55% 4.83%  -1.41% 2.15%  2.42%  -0.23% 10.73%
-------------- ----- ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2015            Jan   Feb   Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec     YTD
JPUSBLFV Index 1.62% 3.40% 0.99%  -2.05% 2.77%  -0.22% 1.87%  -5.59%                              2.51%

Notes: Source: J.P. Morgan & Bloomberg. As of 8/31/2015. The Index is launched
as of November 28, 2014. Therefore, the performance depicted is hypothetical
performance based on back-tested data. PAST PERFORMANCE AND BACK-TESTED
PERFOMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. No guarantee can be given that
the Index will outperform the S&P 500([R]) Total Return Index or the Barclays
US Aggregate Bond Index in the future. The "S&P500 Index (Excess Return)" and
"Barclays US Aggregate Bond Index (Excess Return)" represent hypothetical
indices constructed from the total returns of the S&P 500 Index and Barclays US
Aggregate Bond Index, respectively, with the returns of the Cash Constituent
deducted.

J.P. Morgan Structured Investments | 800 576 3529 | JPM_Structured_Investments@jpmorgan.com September 1, 2015
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The First Trust Dorsey Wright Focus 5 ETF

[] The First Trust Dorsey Wright Focus 5 ETF seeks investment results that
correspond generally to the price and yield (before fees and expenses) of the
Dorsey Wright Focus Five Index
[] The Dorsey Wright Focus 5 Index is designed to provide targeted exposure to
the five First Trust Advisors L.P. ("First Trust") sector-based ETFs that are
expected to offer the greatest potential to outperform the other First Trust
sector-based ETFs based on Dorsey Wright & Associates' proprietary "Relative
Strength" methodology
[] Relative Strength" is a momentum technique that measures the price
performance of a security versus a market average, another security or a
universe of securities. Relative Strength is a way of recording historic
performance patterns, and Dorsey Wright & Associates uses Relative Strength
signals as a trend indicator to find those components with a higher likelihood
for positive future returns.
The J.P. Morgan Dynamic Treasury Futures Index (USD)

The J.P. Morgan Dynamic Treasury Index (USD) is designed to track the returns
of a long position in a weekly rebalanced synthetic portfolio of four J.P.
Morgan Treasury futures tracker indices each of which tracks certain futures
contracts on the U.S. Treasury securities with a maturity ranging from 2-year,
5-year, 10-year to 20-year.
[] The allocation of index weight to each Futures Tracker is determined based
on (i) the ratio of the aggregate principal amount of the outstanding Relevant
Treasury Securities of the relevant Futures Tracker and the aggregate principal
amount of the outstanding Relevant Treasury Securities of all Futures Trackers
and (ii) the relevant Futures Tracker's realized volatility compared with the
realized volatility of the J.P. Morgan Global Government Bond Index -- US Bonds
Only in US
[] The index is designed to track the total-return performance of the U.S.
Treasury securities included in the Reference Index, which are selected from
all outstanding U.S. Treasury securities based on certain broad selection
criteria, and therefore, the Reference Index is designed to be a benchmark for
the U.S. Treasury securities market.
Cash Constituent

The Cash Constituent of the Index is intended to track a notional 3-month time
deposit in U.S. dollars. It earns interest daily at a blended rate, which is a
composite rate of interest determined based on the 3-month and 2-month LIBOR
rates that Any allocation to the Cash Constituent at any given time represents
the portion of the Index that is uninvested at that time.

Selected Risks

[] JPMS, the index calculation agent, may adjust the Index in a way that
affects its level, and JPMS has no obligation to consider your interests.
[] The Index may not be successful, outperform any alternative strategy that
might be employed in respect of the Target Constituents or achieve its target
volatility.
[] The level of the Index will include the deduction of a fee and a borrowing
cost.
[] The daily adjustment of the exposures of the Index to its Target
Constituents will vary, and may be partially uninvested in its Target
Constituents
[] By reducing its exposure to its Equity Constituent, the Index may
significantly underperform its Equity Constituent.
[] The exposure of the Index to its Bond Constituent may be greater, perhaps
significantly greater, than its exposure to its Equity Constituent.
[] The Index may have significant exposure to its Cash Constituent.
[] The returns of the Target Constituents may offset each other or may become
correlated in decline.
[] The Index is subject to significant risks associated with fixed-income
securities, including interest rate-related risks and credit risk.
[] The Index is subject to the negative impact of an interest deduction.
[] The Index comprises notional assets and liabilities.
[] The Index and its Target Constituents each have a limited operating history
and may perform in unanticipated ways.
[] The Index is subject to market risks.
[] The investment strategy used to construct the Index involves daily
adjustments to its synthetic exposure to its Target Constituents.
[] The First Trust Dorsey Wright Focus 5 ETF is subject to the risk relating to
its selection methodology.
[] The J.P. Morgan Dynamic Treasury Index (USD) is subject to the risk relating
to its selection methodology.

Disclaimer
This material has been prepared solely for informational purposes. Nothing in
this material or any other communications related thereto should be deemed to
or be construed as creating a "fiduciary relationship". During the course of
normal business, JPMorgan Chase and Co. and its affiliates ("J.P. Morgan") may
enter into or promote, offer or sell transactions or investments linked to the
Index, or any of the fixed income securities referenced in the Index. J.P.
Morgan will not have any duty to consider the circumstances of any person when
participating in such transactions or to conduct themselves in a manner that is
favorable to anyone with exposure to the Index. Persons interested in the Index
should refer to the official Index Rules, when available, for a complete
description of the rules and methodology for the Index. Opinions expressed
herein may differ from the opinions expressed by other areas of J.P. Morgan,
including research. The simulated data presented herein was constructed using
certain procedures that may be different from the procedures used to calculate
the closing levels of the Index, and on the basis of certain assumptions that
may not hold in future periods. The differences in procedures used in producing
simulated data from those used to calculate the closing levels of the Index
could produce differences in returns in terms of both direction and amount.
Hypothetical and historical performance results are neither indicative nor a
guarantee of future returns. Actual results will vary, potentially materially,
from the hypothetical and historical performance described herein. There is no
guarantee that the Index will outperform any alternative investment strategy,
including the S&P 500([R]) Index or the Barclays US Aggregate Bond Index. Past
performance is not indicative of future results. No one may reproduce or
disseminate the information contained in this document without the prior
written consent of J.P. Morgan. Additional information is available upon
request. Clients should contact their J.P. Morgan representative in, and
execute transactions through, their home jurisdiction unless governing law
permits otherwise.

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Before you invest, you should read the prospectus in that registration
statement and the other documents relating to this offering that JPMorgan Chase &
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Co. and this offering. You may get these documents without cost by visiting
EDGAR on the SEC Web site at www.sec.gov. Alternatively, JPMorgan Chase & Co.,
any agent or any dealer participating in the this offering will arrange to send
you the prospectus and the prospectus supplement as well as any product
supplement and term sheet if you so request by calling toll-free
1-866-535-9248.

Past performance, and especially hypothetical back-tested performance, is not
indicative of future results. Actual performance may vary significantly from
past performance or any hypothetical back-tested performance. This type of
information has inherent limitations and you should carefully consider these
limitations before placing reliance on such information.

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